[Dogpile]

I am using the minimum -- 6 bars -- since it only needs to reference the highest high and lowest low of last 5 bars. yah, I added the volume code just to only create signals on an active contract.

another way to cross-check it is do it is to confirm it using the ETFs since they don't rollover (SPY, QQQQ, IWM) and the futures are based on these ETF's as the underlying.

Range expansion off opening price seems to be very valid idea for the long side. The short-side is tougher -- it is profitable and adds to returns but you can take a ton of heat along the way -- this could be because in a multi-year bull market -- or have something to do with just market dynamics where market falls fast and rises in relentless fashion (take a lot of pain but rewarded occassionally in a big way on short side).

Breaking down the strategy results you can see the effect the short-side drawdowns have on the overall result. It is still profitable but painful at times.